The Three Lions captain shared a picture after the game showing he and Gareth Southgate sharing an emotional hug.
He captioned the picture: “It hurts a lot. It will hurt for a while. We can be proud and we’ll be back. Thanks for all your support.”
His teammate Harry Maguire, who scored the first goal in the quarter final against Sweden, added: “Devastated. Absolutely gutted. Thanks to the fans for your incredible support.”
It came after the Duke of Cambridge led the praise for the team, saying he “couldn’t be more proud”.
William, who is also president of the Football Association, tweeted after the match: “I know how disappointed @England must feel right now but I couldn’t be more proud of this team and you should hold your heads high.
"You’ve had an incredible WorldCup, made history, and gave us fans something to believe in. We know there is more to come from this @England team. W”
David Baddiel, one of the creators of football anthem Three Lions, added: “Thanks to the England team, and manager, for giving us this beautiful World Cup run. It’s been a ride.”
I know how disappointed @england must feel right now but I couldn’t be more proud of this team and you should hold your heads high. You’ve had an incredible #WorldCup, made history, and gave us fans something to believe in. We know there is more to come from this @england team. W— Kensington Palace (@KensingtonRoyal) July 11, 2018
The footballers’ wives and girlfriends, many of whom were in the stadium to see the 2-1 loss, also shared their support.
Harry Kane’s fiancee Kate Goodland, who did not travel to Russia due to her pregnancy, shared a picture of her partner saying: “Boys done us proud. We love you.”
Fern Hawkins, the girlfriend of Harry Maguire, posted a picture of her boyfriend, adding: “You have done yourself, your family and the whole nation proud ♥️ that in itself makes you a winner.” In her story, she said:”What an amazing team of lads.”
Becky Vardy, whose husband Jamie came on as a substitute in extra time, posted a picture of a broken heart, adding: “Be proud.” In another post, alongside a picture of the team, she wrote: “Your dreams don’t have an expiration date.... fall seven times, stand up eight! Proud of every single one of these lads! Till the end...”
Meanwhile, commentator Ian Wright wrote: “Happiness in the journey! We can’t only be happy if we win. Proud of this team. Proud of our country. That was beautiful.”
Gary Lineker said: “Utterly choked, but this young side gave absolutely everything. It’s a huge step forward and they’ll only get better in the future. They can hold their heads high, they did our country proud. Congratulations to Croatia.”
Utterly choked, but this young side gave absolutely everything. It’s a huge step forward and they’ll only get better in the future. They can hold their heads high, they did our country proud. Congratulations to Croatia.— Gary Lineker (@GaryLineker) July 11, 2018
There was also praise form Theresa May who said England’s World Cup had been “a great journey that’s made the country proud,”
Jeremy Corbyn added: “A heartbreaking way to go out but won’t forget what a great tournament it’s been for @England.
“@GarethSouthgate and his team have brought the country together and delivered our best World Cup result since 1990. They should be extremely proud. We certainly are.”
Millions of heartbroken fans will today return to offices with their heads held high despite World Cup dreams being dashed.
Players slumped to the floor at full time following Mario Mandzukic’s 109th minute winner at the Luzhniki Stadium in Moscow.
England fans left the stadium singing “Don’t look back in Anger” as they faced taunts from several groups of Colombian fans on the concourse.
Croatia robbed England of a place in the final for the first time in 52 years but the nation has praised their team for “uniting the country” and hailed their manager a “national hero”.
The squad are expected to return home to a hero's welcome following the third place play-offs against Belgium on Saturday.
Manager Gareth Southgate comforted his devastated players on the pitch before embracing his family.
He said in a rallying cry to the nation: “We’ve come an incredibly long way in a short space of time.
“The whole thing is beyond where we thought we might go. Tonight we weren’t quite there. But the team will be stronger for it.”
The sorrow of broken dreams showed on the faces of millions of heartbroken fans who gathered at screenings across the country.
Tears flowed among 30,000 hopefuls at London’s Hyde Park echoing scenes of despair across the UK.
The 23-man England squad, which has an average age of just over 26 and was the tournament's third youngest, had the hopes and expectations of a nation on their shoulders.
But a place in the World Cup final against France was not to be.
England went ahead in the fifth minute of the first half after an unstoppable Kieran Trippier free kick found the net.
Croatia equalised in the 68th minute through Ivan Perisic who beat Jordan Pickford and England weathered a late storm to take it to extra time.
John Stones saw his header cleared off the line from another England corner before Croatia struck the winner.